ylddisc - Yield of discounted security

Syntax

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)

Arguments

Settle

Settlement date. Enter as serial date number or date string. Settle must be earlier than or equal to Maturity.

Maturity

Maturity date. Enter as serial date number or date string.

Face

Redemption (par, face) value.

Price

Discounted price of the security.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (PSA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ISMA)

  • 9 = actual/360 (ISMA)

  • 10 = actual/365 (ISMA)

  • 11 = 30/360E (ISMA)

  • 12 = actual/365 (ISDA)

Description

Yield = ylddisc(Settle, Maturity, Face, Price, Basis) finds the yield of a discounted security.

Examples

Using the data

Settle = '10/14/2000';
Maturity = '03/17/2001';
Face = 100;
Price = 96.28;
Basis = 2;

Yield = ylddisc(Settle, Maturity, Face, Price, Basis)

returns

Yield =

        0.0903 (or 9.03%)

References

Mayle, Standard Securities Calculation Methods, Volumes I-II, 3rd edition. Formula 1.

See Also

acrudisc, bndprice, bndyield, prdisc, yldmat, yldtbill

  


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